Trading venues collect, aggregate and display trade information to market participants. Market participants initiate trades of securities by sending trade information to the electronic market on which the securities are traded. The trade information includes quotes and various types of orders such as continuous orders for execution during a market trading session of quotations. Before a security may be traded, either at the opening or after a halt in trading, the price of quotations at which the security is released for trading is determined. Various methods exist in which to calculate the price at which a security trades. These methods include an opening cross, closing cross and IPO cross. Before the security is released or opened for trading, volatility detection may be performed on the security's execution price, such as the opening cross execution price.
Volatility detection is performed by comparing the opening cross execution price to a volatility threshold. If the opening cross execution price is above the volatility threshold, the release of the security is delayed. In this case, volatility in the security's price is monitored over an additional period of time, although it need not be. At the end of this time period, the security is released only if volatility is less than the threshold, as described in Securities and Exchange Commission Release No. 34-53488; File No. SR-NASD-2006-105; Federal Register, Vol. 71, No. 54/Mar. 21, 2006 Notices. A disadvantage of this technique is that when volatility is detected above the threshold amount, trade resumption is delayed until the market price of quotations of the security drops to a non-volatile level.